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The Grubel–Lloyd index measures intra-industry trade of a particular product. It was introduced by Herb Grubel and Peter Lloyd in 1971. = (+) ...
Various indexes of IIT have been created, including the Grubel–Lloyd index, the Balassa index, the Aquino index, the Bergstrand index and the Glesjer index. Research suggests that IIT is not simply a fiction or artifact produced by statistical classifications and definitions, but very much a reality.
The modified Dietz method [1] [2] [3] is a measure of the ex post (i.e. historical) performance of an investment portfolio in the presence of external flows. (External flows are movements of value such as transfers of cash, securities or other instruments in or out of the portfolio, with no equal simultaneous movement of value in the opposite direction, and which are not income from the ...
Grubel has published 27 books and more than 130 professional articles in economics, dealing with international trade and finance and a wide range of economic policy issues. One of his most important contributions to international economics is the Grubel–Lloyd index , which measures intra-industry trade of a particular product.
Merton's portfolio problem is a problem in continuous-time finance and in particular intertemporal portfolio choice. An investor must choose how much to consume and must allocate their wealth between stocks and a risk-free asset so as to maximize expected utility .
In addition the global model applied to a single country portfolio would often be at odds with the local market model. Torre resolved these difficulties by introducing a two-stage factor analysis. The first stage consists of fitting a series of local factor models of the familiar form resulting in a set of factor returns f(i,j,t) where f(i,j,t ...
The Brinson model performance attribution can be described as "arithmetic attribution" in the sense that it describes the difference between the portfolio return and the benchmark return. For example, if the portfolio return was 21%, and the benchmark return was 10%, arithmetic attribution would explain 11% of value added. [ 11 ]
Resampled efficient frontier is a technique in investment portfolio construction under modern portfolio theory to use a set of portfolios and then average them to create an effective portfolio. This will not necessarily be the optimal portfolio, but a portfolio that is more balanced between risk and the rate of return.